Ton Vorst

VU University Amsterdam - Department of Finance and Financial Sector Management

De Boelelaan 1105

NL-1081HV Amsterdam

Netherlands

Tinbergen Institute - Tinbergen Institute Amsterdam (TIA)

Gustav Mahlerplein 117

Amsterdam, 1082 MS

Netherlands

SCHOLARLY PAPERS

13

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SSRN CITATIONS
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Top 15,485

in Total Papers Citations

38

CROSSREF CITATIONS

15

Scholarly Papers (13)

1.

Pricing Default Swaps: Empirical Evidence

Journal of International Money and Finance, Vol. 24, pp. 1200-1225, 2005, EFA 2002 Berlin Meetings Presented Paper, EFMA 2002 London Meetings, ERIM Report Series
Number of pages: 49 Posted: 24 Dec 2001
Patrick Houweling and Ton Vorst
Robeco Investment Research and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 4,859 (1,565)
Citation 15

Abstract:

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credit default swaps, credit derivatives, credit risk, default risk, risk-neutral valuation, default-free interest rates

2.

Comparing Possible Proxies of Corporate Bond Liquidity

Journal of Banking and Finance, Vol. 29, No. 6, pp. 1331-1358, 2005, EFA 2003 Annual Conference Paper No. 298
Number of pages: 39 Posted: 01 Aug 2003
Robeco Investment Research, AEGON Group - AEGON Asset Management and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 1,762 (8,929)
Citation 28

Abstract:

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liquidity, premiums, spreads, credit, corporate bonds, yields, fama-french model

A Pricing Model for American Options with Stochastic Interest Rates

Number of pages: 29 Posted: 08 Jun 1998 Last Revised: 05 Jun 2008
Ton Vorst and Albert J. Menkveld
VU University Amsterdam - Department of Finance and Financial Sector Management and VU Amsterdam
Downloads 806 (28,925)
Citation 3

Abstract:

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A Pricing Model for American Options with Stochastic Interest Rates

Annals of Operations Research, Vol. 100, No. 1/4, pp. 211-226, 2000
Posted: 24 Jul 2003
Ton Vorst and Albert J. Menkveld
VU University Amsterdam - Department of Finance and Financial Sector Management and VU Amsterdam

Abstract:

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4.

An Empirical Comparison of Default Swap Pricing Models

ERIM Report Series Reference No. ERS-2002-23-F&A
Number of pages: 55 Posted: 03 Nov 2009
Patrick Houweling and Ton Vorst
Robeco Investment Research and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 278 (109,320)

Abstract:

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credit default swaps, credit risk, default risk, market prices, credit derivatives, default-free interest rates, empirical models

5.

Valuing Euro Rating-Triggered Step-Up Telecom Bonds

Journal of Derivatives, Spring, pp. 63-80, 2004
Number of pages: 46 Posted: 11 Mar 2003
Robeco Investment Research, AEGON Group - AEGON Asset Management and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 250 (122,089)
Citation 5

Abstract:

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step-up bonds, rating-triggered, credit risk, reduced form models, Jarrow Lando Turnbull

6.

Hedging Options Under Transaction Costs and Stochastic Volatility

Journal of Economic Dynamics & Control, Vol. 27, No. 6, February 2003
Posted: 23 May 2003
Roy Kouwenberg, Jacek Gondzio and Ton Vorst
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), University of Edinburgh - School of Mathematics and VU University Amsterdam - Department of Finance and Financial Sector Management

Abstract:

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Option hedging, Stochastic Volatility, Stochastic Programming, Computational Finance

7.

Options and Earnings Announcements: An Empirical Study of Volatility, Trading Volume, Open Interest and Liquidity

European Financial Management, Vol. 6, No. 2, June 2000
Posted: 17 Jun 2000
MeesPierson Investment Bank, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and VU University Amsterdam - Department of Finance and Financial Sector Management

Abstract:

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Earnings Announcements, Volatility, Volume, Spreads, Open Interest

8.

The Impact of Firm Specific News on Implied Volatilities

Posted: 03 Nov 1998
Monique W.M. Donders and Ton Vorst
MeesPierson Investment Bank and VU University Amsterdam - Department of Finance and Financial Sector Management

Abstract:

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9.

A Threshold Error Correction Model for Intraday Futures and Index Returns

Posted: 05 Jul 1998
Martin Martens, Paul Kofman and Ton Vorst
Erasmus University Rotterdam (EUR), The University of Melbourne and VU University Amsterdam - Department of Finance and Financial Sector Management

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10.

Pricing American Interest Rate Claims with Humped Volatility Models

Posted: 21 Jun 1998
Juan M. Moraleda and Ton Vorst
Tinbergen Institute and VU University Amsterdam - Department of Finance and Financial Sector Management

Abstract:

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11.

Average Interest Rate Caps

Posted: 03 May 1998
Terry H. F. Cheuk and Ton Vorst
The University of Hong Kong - School of Business and VU University Amsterdam - Department of Finance and Financial Sector Management

Abstract:

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12.

Shout Floors

Posted: 03 May 1998
Terry H. F. Cheuk and Ton Vorst
The University of Hong Kong - School of Business and VU University Amsterdam - Department of Finance and Financial Sector Management

Abstract:

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13.

Complex Barrier Options

J. OF DERIVATIVES, Fall 1996
Posted: 17 Apr 1998
Terry H. F. Cheuk and Ton Vorst
The University of Hong Kong - School of Business and VU University Amsterdam - Department of Finance and Financial Sector Management

Abstract:

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